Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0028 |
| Annualized Std Dev | 0.1411 |
| Annualized Sharpe (Rf=0%) | -0.0200 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5012.0000 |
| NAs | 1.0000 |
| Minimum | -0.1493 |
| Quartile 1 | -0.0035 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0039 |
| Maximum | 0.0911 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0089 |
| Skewness | -1.4207 |
| Kurtosis | 35.2616 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0066 |
| Gain Deviation | 0.0063 |
| Loss Deviation | 0.0077 |
| Downside Deviation (MAR=210%) | 0.0117 |
| Downside Deviation (Rf=0%) | 0.0066 |
| Downside Deviation (0%) | 0.0066 |
| Maximum Drawdown | 0.5160 |
| Historical VaR (95%) | -0.0127 |
| Historical ES (95%) | -0.0212 |
| Modified VaR (95%) | -0.0115 |
| Modified ES (95%) | -0.0115 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-02-21 | 2008-12-16 | 2012-11-01 | -0.5160 | 1684 | 708 | 976 |
| 2012-11-02 | 2020-03-18 | NA | -0.3347 | 2109 | 1855 | NA |
| 2004-03-02 | 2004-05-10 | 2006-02-17 | -0.2030 | 495 | 49 | 446 |
| 2001-05-03 | 2002-11-25 | 2003-07-01 | -0.1443 | 534 | 385 | 149 |
| 2003-07-07 | 2003-09-03 | 2004-01-08 | -0.0974 | 130 | 42 | 88 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | -0.3 | -0.5 | -0.9 | 0.8 | 0.4 | 0.2 | 0.5 | 0.5 | 0.9 | -0.9 | 0.7 |
| 2002 | 1.1 | 0.1 | 0.1 | 0.1 | -0.9 | 2.3 | -0.3 | 0.8 | -0.3 | 2.1 | -0.1 | 0.9 | 6.1 |
| 2003 | 0.3 | 0.9 | 0.8 | 0.3 | 0.3 | 1 | -0.3 | -0.2 | 0.1 | 0.9 | -2.2 | 0.1 | 1.9 |
| 2004 | -1.5 | 2.2 | 0.1 | 0.7 | 1.7 | 2.1 | 1 | 0.5 | -0.7 | 0.8 | -1.7 | -0.8 | 4.5 |
| 2005 | 2.3 | 0.7 | 0.4 | 0.7 | -0.3 | 1.2 | 0.2 | -0.1 | 1.1 | 0.5 | -1 | 2.1 | 8 |
| 2006 | 0.6 | 1.1 | 1.6 | -0.5 | 0.9 | -0.5 | -1 | -0.1 | 1 | -0.9 | 1.1 | 0.3 | 3.8 |
| 2007 | -0.1 | 0.5 | -0.2 | -0.6 | 1.4 | 1.5 | 0.1 | 1 | 1.1 | -0.2 | 0 | 0.2 | 4.7 |
| 2008 | 0.2 | -1.3 | 0.2 | 0.2 | 0.6 | -0.6 | 0.6 | 0.2 | 0.7 | 0.3 | -1.9 | -1.8 | -2.6 |
| 2009 | 0.4 | -0.2 | 0.2 | 2.9 | -0.8 | 0.3 | 0.2 | -0.2 | -0.7 | 0.6 | 0.3 | -0.3 | 2.6 |
| 2010 | 0.7 | 0.2 | 0.8 | -0.1 | 0.3 | -0.2 | 0.4 | 0.1 | -0.2 | 0.1 | 0.3 | 4.1 | 6.5 |
| 2011 | 0.3 | 1.4 | 0.5 | -0.2 | -0.2 | 0.5 | 0.8 | 0.1 | 0.5 | 0.6 | 0.5 | 0 | 4.8 |
| 2012 | 0.1 | 0 | 0.9 | 0 | -0.1 | -0.9 | 0.4 | 0.6 | 1.4 | 1 | 0.1 | -0.6 | 2.9 |
| 2013 | 0.3 | 0.1 | 0.3 | -0.4 | -1.7 | -0.1 | -1.7 | 0.3 | -0.3 | -1 | -0.3 | -0.6 | -5.1 |
| 2014 | 0.8 | 0.2 | -0.5 | 0.7 | -0.6 | -0.6 | -0.2 | 0.4 | 0.8 | -0.4 | 0.1 | 0.1 | 0.9 |
| 2015 | 0.6 | 0.9 | 0.3 | -0.4 | 0.1 | -0.3 | 0.4 | 0 | 0 | 0.5 | 0.5 | 0.4 | 3 |
| 2016 | 0.1 | 0.3 | 0.5 | 0.5 | 0.7 | 0.1 | 0.3 | 0.2 | -0.1 | -0.1 | -1.2 | 0.2 | 1.3 |
| 2017 | -0.1 | -0.3 | -0.2 | 0.4 | 0.3 | 0 | 0.3 | 0.4 | -0.1 | 0.1 | 0.2 | 0.3 | 1.5 |
| 2018 | -0.4 | 0.3 | 0.1 | -0.1 | -0.2 | 0.3 | -0.2 | -0.2 | 0.2 | 0 | 0.3 | 0.3 | 0.3 |
| 2019 | 0.5 | 0.1 | 0.1 | 0.2 | 0.1 | -0.1 | 0.6 | -0.1 | 0.3 | -0.2 | -0.3 | 0.4 | 1.7 |
| 2020 | -0.1 | -1.3 | -3.3 | -0.5 | 0.4 | 0.2 | 0.4 | 0.4 | 0.1 | 0 | 0.5 | 1.1 | -2.2 |
| 2021 | 0.5 | 0.5 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
